This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Information about:
Pierre Giot

Personal Details | Affiliation | Works
This is information that was supplied by Pierre Giot in registering through RePEc. If you are Pierre Giot , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Pierre
Middle Name:
Last Name: Giot
Suffix:

RePEc Short-ID: pgi19

Email:
Homepage: http://www.core.ucl.ac.be/econometrics/giot.htm
Postal Address: University of Namur Dpt. of Business Administration Rempart de la Vierge 8 B-5000 Namur, Belgium
Phone: +3281724887

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. GIOT, Pierre & PETITJEAN, Mikael, 2006. "The information content of the Bond-Equity Yield Ratio: better than a random walk?," CORE Discussion Papers 2006089, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    Published as:

  2. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," CORE Discussion Papers 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  3. GIOT, Pierre & PETITJEAN, Mikael, 2006. "International stock return predictability: statistical evidence and economic significance," CORE Discussion Papers 2006088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  4. GIOT, Pierre & PETITJEAN, Mikael, 2006. "Short-term market timing using the Bond-Equity Yield Ratio," CORE Discussion Papers 2006090, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    Published as:

  5. Alain Durré & Pierre Giot, 2005. "An international analysis of earnings, stock prices and bond yields," Research series 200509-1, National Bank of Belgium. [Downloadable!]
    Other versions:
    Published as:

  6. GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," CORE Discussion Papers 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  7. Helena, BELTRAN & Pierre, GIOT & Joachim, GRAMMIG, 2005. "Commonalities in the order book," Discussion Papers (ECON - Département des Sciences Economiques) 2005014, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
    Other versions:
    Published as:

  8. Helena, BELTRAN & Alain, DURRE & Pierre, GIOT, 2004. "Volatility regimes and the provisions of liquidity in order book markets," Discussion Papers (ECON - Département des Sciences Economiques) 2005015, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
    Other versions:

  9. Helena Beltran & Alain Durré & Pierre Giot, 2004. "How does liquidity react to stress periods in a limit order market?," Research series 200405-5, National Bank of Belgium. [Downloadable!]

  10. Mikael Petitjean & Pierre Giot, 2004. "Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Models: An international Comparison," Computing in Economics and Finance 2004 6, Society for Computational Economics.

  11. GIOT, Pierre, 2003. "The information content of implied volatility indexes for forecasting volatility and market risk," CORE Discussion Papers 2003027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  12. BAUWENS, Luc & GALLI, Fausto & GIOT, Pierre, 2003. "The moments of Log-ACD models," CORE Discussion Papers 2003011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  13. Pierre Giot & Armin Schwienbacher, 2003. "IPOs, Trade Sales and Liquidations: Modelling Venture Capital Exits Using Survival Analysis," Finance 0312006, EconWPA. [Downloadable!]
    Other versions:
    Published as:

  14. GIOT, Pierre, 2003. "The Asian financial crisis : the start of a regime switch in volatility," CORE Discussion Papers 2003078, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  15. GIOT, Pierre & LAURENT, SŽbastien, 2003. "Market risk in commodity markets: a VaR approach," CORE Discussion Papers 2003028, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    Published as:

  16. GIOT, Pierre, 2002. "Implied volatility indices as leading indicators of stock index returns ?," CORE Discussion Papers 2002050, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  17. Pierre Giot & Joachim Grammig, 2002. "How large is liquidity risk in an automated auction market?," University of St. Gallen Department of Economics working paper series 2002 2002-23, Department of Economics, University of St. Gallen. [Downloadable!]
    Other versions:
    Published as:

  18. GIOT, Pierre, 2002. "The information content of implied volatility in agricultural commodity markets," CORE Discussion Papers 2002038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  19. Giot,Pierre & Laurent,Sebastien, 2001. "Modelling daily value-at-risk using realized volatility and arch type models," Research Memoranda 014, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    Other versions:
    Published as:

  20. Pierre Giot and S»bastien Laurent, 2001. "Value-At-Risk For Long And Short Trading Positions," Computing in Economics and Finance 2001 94, Society for Computational Economics.
    Other versions:
    Published as:

  21. Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2000. "A Comparison of Financial Duration Models via Density Forecasts," Econometric Society World Congress 2000 Contributed Papers 0810, Econometric Society. [Downloadable!]
    Other versions:
    Published as:

  22. GIOT, Pierre, 2000. "Intraday value-at-risk," CORE Discussion Papers 2000045, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  23. GIOT, Pierre & HENRY DE FRAHAN, Bruno & PIROTTE, Nicolas, 1999. "Co-integration and leadership in the European off-season fresh fruit market," CORE Discussion Papers 1999022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  24. GIOT, Pierre & ,, 1999. "Time transformations, intraday data and volatility models ," CORE Discussion Papers 1999044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  25. BAUWENS, Luc & GIOT, Pierre, 1998. "Asymmetric ACD models: introducing price information in ACD models with a two state transition model," CORE Discussion Papers 1998044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

  26. BAUWENS, LUC & GIOT, Pierre, 1997. "The logarithmic ACD model: an application to market microstructure and NASDAQ," CORE Discussion Papers 1997089, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]

Articles

  1. Héléna Beltran-Lopez & Pierre Giot & Joachim Grammig, 2009. "Commonalities in the order book," Financial Markets and Portfolio Management, Springer, vol. 23(3), pages 209-242, September. [Downloadable!] (restricted)
    Other versions:

  2. Pierre Giot & Mikael Petitjean, 2009. "Short-term market timing using the bond-equity yield ratio," European Journal of Finance, Taylor and Francis Journals, vol. 15(4), pages 365-384. [Downloadable!] (restricted)
    Other versions:

  3. Alain Durré & Pierre Giot, 2007. "An International Analysis of Earnings, Stock Prices and Bond Yields," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 34(3-4), pages 613-641. [Downloadable!] (restricted)
    Other versions:

  4. Giot, Pierre & Petitjean, Mikael, 2007. "The information content of the Bond-Equity Yield Ratio: Better than a random walk?," International Journal of Forecasting, Elsevier, vol. 23(2), pages 289-305. [Downloadable!] (restricted)
    Other versions:

  5. Giot, Pierre & Schwienbacher, Armin, 2007. "IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 679-702, March. [Downloadable!] (restricted)
    Other versions:

  6. Pierre Giot & Joachim Grammig, 2006. "How large is liquidity risk in an automated auction market?," Empirical Economics, Springer, vol. 30(4), pages 867-887, January. [Downloadable!] (restricted)
    Other versions:

  7. Bauwens, Luc & Ben Omrane, Walid & Giot, Pierre, 2005. "News announcements, market activity and volatility in the euro/dollar foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1108-1125, November. [Downloadable!] (restricted)
    Other versions:

  8. Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004. "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, vol. 20(4), pages 589-609. [Downloadable!] (restricted)
    Other versions:

  9. Giot, Pierre & Laurent, Sebastien, 2004. "Modelling daily Value-at-Risk using realized volatility and ARCH type models," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 379-398, June. [Downloadable!] (restricted)
    Other versions:

  10. Pierre Giot, 2003. "Market Models: A Guide to Financial Data Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 1(3), pages 471-473.

  11. Giot, Pierre & Laurent, Sebastien, 2003. "Market risk in commodity markets: a VaR approach," Energy Economics, Elsevier, vol. 25(5), pages 435-457, September. [Downloadable!] (restricted)
    Other versions:

  12. Pierre Giot & Sébastien Laurent, 2003. "Value-at-risk for long and short trading positions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 641-663. [Downloadable!]
    Other versions:

  13. Luc Bauwens & Pierre Giot, 2003. "Asymmetric ACD models: Introducing price information in ACD models," Empirical Economics, Springer, vol. 28(4), pages 709-731, November. [Downloadable!] (restricted)

  14. RePEc:adr:anecst:y:2000:i:59-60:p:06 is not listed on IDEAS

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2003-12-14
  2. NEP-ENT: Entrepreneurship (1) 2003-12-14
  3. NEP-FIN: Finance (4) 2002-11-04 2003-12-14 2005-05-29 2005-10-04 Author is listed
  4. NEP-FMK: Financial Markets (2) 2002-11-04 2005-10-04 Author is listed
  5. NEP-RMG: Risk Management (1) 2002-11-04
Did you know? All RePEc services are meant to be be free forever, as they are all run by volunteers.

This page was last updated on 2009-11-8.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.